Essays about: "conditional volatility"

Showing result 16 - 20 of 100 essays containing the words conditional volatility.

1. 16. DCC-GARCH Estimation

   University essay from KTH/Matematik (Avd.)

   Author : Christofer Nordström; [2021]
   Keywords : Multivariate GARCH; DCC-GARCH; Conditional Correlation; Forecasting; Flerdimensionella GARCH-modeller; DCC-GARCH; Betingad Korrelation; Prognoser;

   Abstract : When modelling more that one asset, it is desirable to apply multivariate modeling to capture the co-movements of the underlying assets. The GARCH models has been proven to be successful when it comes to volatility forecast- ing. READ MORE

3. 17. Is the Phillips Curve Valid for ASEAN? : A Time-Varying Approach

   University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

   Author : Simon Wilfer; Philip Wikström; [2021]
   Keywords : ASEAN; Phillips Curve; Inflation Dynamics; ARMA-GARCH; Time-Varying; Financial Integration; Spillover; Monetary Policy;

   Abstract : The primary purpose of this thesis was to investigate if the modern Phillips Curve is valid for ASEAN five (Indonesia, Malaysia, Thailand, Singapore and Philippines) countries using a time-varying approach in the form of an ARMA-GARCH model. The method enables us to investigate how the inflation volatility reacts to economic shocks and if its history can predict the conditional variance of inflation. READ MORE

4. 18. Volatility and Risk – FIGARCH Modelling of Cryptocurrencies

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Julian Marvin Ulmer; Langkun Chen; [2021]
   Keywords : Cryptocurrencies; Conditional volatility; FIGARCH model; Monetary policy; Stressed expected shortfall; Business and Economics;

   Abstract : .... READ MORE

5. 19. A test of GARCH models onCoCo bonds

   University essay from KTH/Skolan för industriell teknik och management (ITM)

   Author : JIMMY HENRIKSSON; [2021]
   Keywords : ARCH; GARCH; CoCo-bonds; Additional Tier-1; Volatility; Volatility forecasting; ARCH; GARCH; CoCo-obligationer; AT1; Volatilitet; Prediktion av volatilitet; Prognotisering av volatilitet;

   Abstract : This research investigates to what extent the ARCH model and the GARCH model forecasts one-day-ahead out-of-sample daily volatility (conditional variance) in European AT1 CoCo bonds compared to the Random Walk model. The research also investigates how different orders of ARCH and GARCH models affect the forecasting accuracy. READ MORE

6. 20. Business analytics tools for data collection and analysis of COVID-19

   University essay from Linköpings universitet/Statistik och maskininlärning

   Author : Härje Widing; [2021]
   Keywords : COVID-19; SARS-CoV-2; Pandemic; Business Intelligence; Seasonal Artificial Neural Network; Generalized Autoregressive Conditional Heteroscedasticity; Power BI;

   Abstract : The pandemic that struck the entire world 2020 caused by the SARS-CoV-2 (COVID-19) virus, will have an enormous interest for statistical and economical analytics for a long time. While the pandemic of 2020 is not the first that struck the entire world, it is the first pandemic in history where the data were gathered to this extent. READ MORE